First order strong approximation of Ait–Sahalia-type interest rate model with Poisson jumps

For Ait–Sahalia-type interest rate model with Poisson jumps, we are interested in strong convergence of a novel time-stepping method, called transformed jump-adapted backward Euler method (TJABEM). Under certain hypotheses, the considered takes values positive domain. It is shown that TJABEM can preserve domain underlying problem. Furthermore, first-order recovered respect to Lp-error criterion. Numerical experiments finally given illustrate theoretical results.